Serving the Quantitative Finance Community

 
User avatar
Seagulls
Topic Author
Posts: 10
Joined: March 7th, 2011, 12:07 pm

Path dependent historic volatility

March 1st, 2018, 10:43 am

I'm no mathematician and feel a bit of a fraud being on here. I am developing a retail trading platform for limited risk CFD which involves a combination of short term path independent and path dependent options. To price the path dependent options I have used an iterative process involving a DNT with increasingly wider barriers to calculate an historic volatility. To confirm I'm on the right track can anyone point me in the direction of any paper as such that may have used this approach? 
 
User avatar
Alan
Posts: 2958
Joined: December 19th, 2001, 4:01 am
Location: California
Contact:

Re: Path dependent historic volatility

March 1st, 2018, 3:03 pm

Too vague an explanation of "this approach", IMO, for an answer. Suggest you elaborate, using a fully fleshed-out numerical example.

As a general comment, the phrase 'historic volatility' is quite ambiguous -- realized? implied?  Define it precisely in your context.